Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0044
Annualized Std Dev 0.0814
Annualized Sharpe (Rf=0%) 0.0542

Row

Daily Return Statistics

Close
Observations 3382.0000
NAs 1.0000
Minimum -0.0974
Quartile 1 -0.0013
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0016
Maximum 0.0707
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0051
Skewness -1.9677
Kurtosis 79.1126

Downside Risk

Close
Semi Deviation 0.0039
Gain Deviation 0.0040
Loss Deviation 0.0052
Downside Deviation (MAR=210%) 0.0095
Downside Deviation (Rf=0%) 0.0039
Downside Deviation (0%) 0.0039
Maximum Drawdown 0.2700
Historical VaR (95%) -0.0052
Historical ES (95%) -0.0117
Modified VaR (95%) -0.0027
Modified ES (95%) -0.0027
From Trough To Depth Length To Trough Recovery
2008-01-18 2008-10-15 2012-07-23 -0.2700 1137 188 949
2020-03-10 2020-03-19 NA -0.2169 261 8 NA
2012-12-03 2013-09-05 2016-06-14 -0.1498 889 191 698
2016-07-11 2018-11-02 2019-08-08 -0.0835 776 586 190
2007-10-25 2007-11-14 2008-01-07 -0.0299 50 15 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0.6 0 0.1 0.7
2008 0 -2.8 -0.1 0 -0.2 0.3 -0.7 -0.5 -2.5 1.4 -0.3 0.6 -4.8
2009 0.6 -0.2 0.4 -0.1 -0.4 0.1 0.1 0.6 1 -0.5 0.3 -0.1 1.7
2010 0 0 -0.2 0 0 0 0.2 0 -0.2 -0.1 -0.1 0.2 -0.2
2011 0 -0.3 0.2 0 0 0.1 0.3 0 0.4 0.8 -0.1 0.2 1.4
2012 0 -0.2 -0.2 0 0.2 -0.2 0 0 -0.1 0 0 0.2 -0.4
2013 0 0 0.2 0.3 -0.5 0.2 0.2 0 -0.1 -0.3 -0.1 -0.1 -0.3
2014 -0.1 0.1 -0.1 0.1 0 -0.3 0.3 0 0.7 -0.1 0.2 0.3 1
2015 0.2 0.2 0 -0.6 -0.1 0 0 0.5 0.3 0.2 0.3 -0.1 0.7
2016 -0.2 0 -0.1 0.1 0 0 -0.3 -0.2 0 0.1 -0.6 -0.1 -1.3
2017 -0.2 -0.6 -0.1 0.2 0 0 -0.1 0 0.2 0.1 0.5 0.2 0
2018 -0.3 0.2 0 -0.2 -0.2 -0.3 -0.3 0.2 -0.2 -0.1 0.1 0 -1
2019 -0.1 0 -0.4 0 0.4 -0.1 0.3 -0.1 0 -0.1 -0.2 0 -0.3
2020 0.1 -0.2 -3.7 0.9 -0.1 -0.1 0.1 0.2 -0.1 0 0 -0.1 -3.1
2021 0.2 -0.1 0.3 NA NA NA NA NA NA NA NA NA 0.4

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart